Historical volatility calculator
The real swing of a price from its closes.
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Volatility cone calculator
Is volatility high or low right now? Today's swing against its own range over every window, from a week to a year.
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The prices
The cone
The 21-bar volatility is 15.7% a year, at or above the level of 59% of its own history: in the middle of its range, normal.
- Short against long
- The last 5 bars (21.7%) are wilder than the last 63 (16.0%): the swing has been growing lately.
- The cone
- Over 5 bars it has run from 2.7% to 30.6%; over 63 bars only from 13.0% to 17.4%. Short windows swing more, which is why the cone narrows as the window grows.
- Using it
- Put an option's implied volatility next to the row for its life in bars: near the top of the cone the option is dear against what this market usually does, near the bottom it is cheap. Size stops to the volatility now, not the median.
- Read it with care
- The cone only knows the closes you pasted. Volatility clusters and turns without warning; a low reading is not a promise of calm.
The volatility a year for each window: the lowest, the 25th percentile, the median, the 75th percentile, the highest, the latest window and its percentile rank. The main reading is marked.
| Bars | Low | 25th | Median | 75th | High | Now | Rank |
|---|---|---|---|---|---|---|---|
| 5 | 2.7% | 10.6% | 13.6% | 17.7% | 30.6% | 21.7% | 88 |
| 10 | 8.4% | 12.4% | 14.2% | 17.6% | 23.2% | 19.0% | 87 |
| 21 | 10.0% | 12.5% | 15.1% | 17.1% | 20.0% | 15.7% | 59 |
| 42 | 11.2% | 13.9% | 15.5% | 16.7% | 18.1% | 16.7% | 75 |
| 63 | 13.0% | 14.6% | 15.2% | 16.2% | 17.4% | 16.0% | 71 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
High or low, against what?
A volatility of 18% a year means little on its own: for one market it is a quiet week, for another a storm. The volatility cone, used by option desks since Burghardt and Lane's paper in 1990, measures the volatility over every window of 5, 10, 21, 42 and 63 bars and more, and shows its usual range for each window. Today's reading then has a place: near the bottom of the cone, near the top, or in the middle.
Short windows swing between wider extremes than long ones, so the cone is wide at the short end and narrows as the window grows. Measure a single window with the historical volatility calculator, check an option's price against it with the implied volatility calculator, and see how calm or wild the bars are with the volatility regime calculator.
Not advice. Arithmetic on the prices you type; past swings do not promise future ones.
Next tools
Implied volatility calculator
The volatility and move an option price carries.
Volatility regime calculator
Calm or wild right now?
Pricing
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.